5/22/2023 – Hot Links & Quick Thoughts

5/22/2023

Trading / Investments

• Momentum crashes – what occurs once everybody has bought and there is no one left to buy – plague momentum models.  The following studies look at selectivity in momentum usage:
  • https://alphaarchitect.com/2023/05/reducing-the-impact-of-momentum-crashes/
  • https://allocatesmartly.com/a-key-new-momentum-measure-to-consider-distance-from-1-year-high/
• Also – Allocate Smartly also looks at simple momentum rules for bonds:
  • https://allocatesmartly.com/cross-asset-signals-and-time-series-momentum/
  • https://allocatesmartly.com/predicting-us-treasury-returns/
• This is an interesting concept, using CPI to trade stocks.  I wonder how it would perform when combined with the factors above and/or used to time bonds?
  • https://dilequante.com/setting-up-an-alpha-generating-strategy-from-scratch-a-practical-example-with-a-portfolio-made-up-of-equity-sectors-investing-a-simple-macro-signal/